How many tables do you have?
AFAIK, MySQL does not support converting all tables to InnoDB in one command. You have to convert each of them.
If you only have a few dozen of tables, You could run "SHOW TABLES;", copy the result to a text editor, copy and paste "ALTER TABLE" before each row and "ENGINE=INNODB;" after each row (don't forget the semicolon), and paste the text back into MySQL. Pressing Ctrl+C and Ctrl+V a few dozen times in a text editor should only take you a couple of minutes. If your text editor supports regex search/replace, you won't even need to repeat the copy and paste. I often abuse Notepad++ for exactly this purpose.
If you have hundreds of tables, you could use a shell script like
this. But this requires knowledge of Unix tools and some command-line configuration, so it might be faster to just use a text editor.
Sorry, I can't comment on Sphinx.